Regression from Jul 2006 - Aug 2014

Rm-Rf SMB HML Alpha R2
0.78 -0.11 -0.23 7.79% 0.598
Standard error 0.0712 0.1433 0.1254 0.0029
t-statistics 10.88 -0.75 -1.82 2.25

Fund Profile

Symbol IHE
Issuer iShares
Type ETF
Region USA
Style Sector

Rolling Charts:


Fund Returns from Jul 2006 - Aug 2014

Month RaR Rm-Rf SMB HML Rf
200607 2.81 -0.78 -3.99 3.27 0.40
200608 2.89 2.03 0.83 -1.75 0.42
200609 2.14 1.84 -1.24 -0.42 0.41
200610 1.82 3.23 1.64 0.48 0.41
200611 -0.27 1.71 0.77 0.48 0.42
200612 0.08 0.87 -0.89 2.51 0.40
200701 4.75 1.41 0.09 -0.02 0.44
200702 -2.89 -1.95 1.38 0.24 0.38
200703 -0.37 0.68 -0.26 0.39 0.43
200704 7.55 3.49 -2.09 -0.96 0.44
200705 1.47 3.24 -0.04 -0.13 0.41
200706 -4.12 -1.96 0.76 -1.06 0.40
200707 -6.26 -3.74 -2.67 -2.99 0.40
200708 2.05 0.92 -0.14 -2.36 0.42
200709 1.64 3.23 -2.46 -2.13 0.32
200710 1.83 1.80 0.21 -1.97 0.32
200711 -0.04 -4.82 -2.77 -1.09 0.34
200712 -2.46 -0.86 0.05 -0.03 0.27
200801 -4.87 -6.35 -0.77 3.05 0.21
200802 -1.55 -3.09 -0.55 -0.03 0.13
200803 -4.16 -0.94 0.83 0.28 0.17
200804 2.33 4.60 -1.49 -0.03 0.18
200805 2.95 1.86 2.98 -0.34 0.18
200806 -4.28 -8.44 1.07 -1.02 0.17
200807 4.17 -0.77 3.58 3.69 0.15
200808 2.87 1.53 3.75 1.48 0.13
200809 -4.99 -9.24 -0.34 4.40 0.15
200810 -12.99 -17.23 -2.28 -2.99 0.08
200811 -2.00 -7.86 -3.63 -4.94 0.03
200812 8.28 1.66 3.97 -1.20 0.09
200901 -3.28 -8.12 -0.98 -9.86 0.00
200902 -11.77 -10.09 -0.35 -6.90 0.01
200903 10.21 8.95 0.73 2.60 0.02
200904 -2.44 10.19 5.40 5.42 0.01
200905 7.15 5.21 -2.66 0.56 0.00
200906 5.69 0.43 2.67 -2.44 0.01
200907 3.81 7.72 2.50 4.73 0.01
200908 3.42 3.32 -0.51 7.59 0.01
200909 6.47 4.08 2.47 1.40 0.01
200910 -3.39 -2.59 -4.22 -4.37 0.00
200911 9.36 5.56 -2.65 0.17 0.00
200912 3.69 2.75 5.79 0.73 0.01
201001 -0.72 -3.36 0.19 0.61 0.00
201002 0.90 3.40 1.44 2.74 0.00
201003 3.70 6.32 1.58 2.03 0.01
201004 -1.43 2.00 4.94 3.15 0.00
201005 -5.67 -7.89 -0.08 -2.33 0.01
201006 -1.06 -5.56 -2.13 -4.26 0.01
201007 1.92 6.92 0.17 0.22 0.01
201008 0.34 -4.77 -2.94 -1.64 0.01
201009 9.79 9.54 3.84 -3.02 0.01
201010 3.51 3.88 1.04 -2.30 0.01
201011 -3.74 0.60 3.66 -0.54 0.01
201012 5.41 6.82 0.78 3.58 0.01
201101 -1.30 2.01 -2.46 0.86 0.01
201102 1.88 3.49 1.63 1.67 0.01
201103 3.40 0.48 2.62 -1.22 0.01
201104 8.45 2.90 -0.32 -2.25 0.00
201105 2.16 -1.27 -0.65 -2.21 0.00
201106 0.11 -1.75 -0.08 -0.42 0.00
201107 -2.57 -2.34 -1.40 -1.20 0.00
201108 -3.07 -6.00 -3.30 -1.56 0.01
201109 -3.88 -7.60 -3.68 -1.06 0.00
201110 5.97 11.34 3.58 -0.90 0.00
201111 4.98 -0.26 -0.26 -0.17 0.00
201112 3.84 0.74 -0.57 1.53 0.00
201201 1.89 5.06 2.52 -2.13 0.00
201202 3.64 4.43 -1.65 0.04 0.00
201203 3.26 3.11 -0.23 -0.07 0.00
201204 1.07 -0.84 -0.61 -0.20 0.00
201205 -3.34 -6.20 -0.10 0.10 0.01
201206 7.13 3.88 0.82 0.46 0.00
201207 0.85 0.79 -2.59 0.02 0.00
201208 -0.44 2.56 0.72 0.59 0.01
201209 3.83 2.74 0.49 1.57 0.01
201210 -3.29 -1.75 -1.07 4.17 0.01
201211 0.12 0.77 0.67 -1.10 0.01
201212 -1.58 1.18 1.66 3.28 0.01
201301 7.26 5.58 0.49 1.35 0.00
201302 1.30 1.28 -0.38 0.31 0.00
201303 4.20 4.03 0.84 -0.06 0.00
201304 3.28 1.56 -2.43 0.36 0.00
201305 1.73 2.81 1.93 1.31 0.00
201306 -0.82 -1.21 1.23 -0.45 0.00
201307 7.40 5.65 1.85 0.79 0.00
201308 -2.88 -2.69 0.28 -2.46 0.00
201309 2.62 3.76 2.85 -1.51 0.00
201310 2.14 4.17 -1.52 1.39 0.00
201311 7.96 3.12 1.32 -0.38 0.00
201312 0.97 2.81 -0.44 -0.17 0.00
201401 2.30 -3.26 0.85 -1.83 0.00
201402 9.26 4.65 0.27 -0.48 0.00
201403 -3.82 0.41 -1.81 4.72 0.00
201404 2.05 -0.14 -4.23 1.57 0.00
201405 1.49 2.06 -1.88 -0.40 0.00
201406 3.55 2.59 2.98 -0.63 0.00
201407 -3.60 -2.05 -4.28 0.03 0.00
201408 5.67 4.23 0.49 -0.75 0.00

Other Funds


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